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Modelisation multifractale du taux de change dollar/euro


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  • Jerome Fillol
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    L’approche multifractale en finance a fait dernierement l’objet de developpements theoriques que l’on doit principalement a Calvet et Fisher (2001, 2002). Dans cet article, nous presentons la modelisation multifractale (Multifractal Model of Asset Returns, MMAR) dont nous proposons une application sur le taux de change dollar/euro. Nous concluons au caractere multifractal de ce taux de change, et, au moyen de simulations de Monte Carlo, a la superiorite de la modelisation multifractale par rapport aux modeles GARCH et FIGARCH pour rendre compte des proprietes de la serie etudiee.

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    Bibliographic Info

    Article provided by CEPII research center in its journal Economie Internationale.

    Volume (Year): (2005)
    Issue (Month): 104 ()
    Pages: 135-150

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    Handle: RePEc:cii:cepiei:2005-4tf

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    Keywords: Modelisation multifractale; fonction d’echelle; spectre multifractal; taux de change;

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    Cited by:
    1. Julien Idier, 2011. "Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models," The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 27-48.


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